Filters with Small Non-Linearities

Abstract

The Kalman filter provides a finite dimensional solution when the signal and observation processes are linear and have Gaussian noise. In this paper the effect of a small nonlinearity in the signal is discussed by considering stochastic flows for the signal and a Girsanov transformation for the observation. The result can be expressed in terms of Gaussian densities.

Open PDF

Document Details

Document Type
Technical Report
Publication Date
Jan 01, 1988
Accession Number
ADA222215

Entities

People

  • Robert J. Elliott

Organizations

  • University of Alberta

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Abstracts
  • Brownian Motion
  • Equations
  • Filters
  • Filtration
  • Gaussian Noise
  • Kalman Filters
  • Linearity
  • Military Research
  • Noise
  • Observation
  • Probability
  • Random Variables
  • Statistics
  • Universities

Readers

  • Adaptive Control and Estimation with Uncertainty in Dynamic Systems.